COVID-19 Media Coverage and ESG Leader Indices

Md Akhtaruzzaman, Sabri Boubaker and Zaghum Umar

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Abstract: This study examines the dynamic connectedness between COVID\textendash19 media coverage index (MCI) and ESG leader indices. Our findings provide evidence that MCI plays a role in facilitating the transmission of contagion to advanced and emerging equity markets during the pandemic. The connectedness between MCI and ESG leader indices is more pronounced around March and April 2020 at the peak of the pandemic. The US is a net receiver of shocks reaffirming that it was the most affected country during the pandemic. Our results provide implications for investors, portfolio managers, and policymakers in mitigating financial risks during the pandemic. \textcopyright 2021

Keywords: COVID\textendash19; ESG leaders; Financial contagion; Media coverage index; TVP\textendashVAR (search for similar items in EconPapers)
Date: 2022-03-01
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Published in Finance Research Letters, 2022, 45, pp.102170. ⟨10.1016/j.frl.2021.102170⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04445028

DOI: 10.1016/j.frl.2021.102170

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